By experimentation, I was able to match EMA filters with the Kalman filters: http://groups.google.com/group/jbooktrader/web/EMAvsKalman.PNG
In this image, "price" is 1-second price "emafast" is the 60-second exponential average of price "emaslow" is the 600-second exponential average of price "kalmanfast" is the kalman filter of price with the measurement noise set to 1 "kalmanslow" is the kalman filter of price with the measurement noise set to 100 The good news is the EMA and Kalman filters closely match. The bad news is that the Kalman filter is less intuitive to set up. In particular, the error 100 works for the price, but to get comparable smoothing for balance, the error should probably be in the single digits. By contrast, using the EMA requires setting the period length, and works regardless of the range of data. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
